Swap Curve Strategy

anthropics/financial-services-pluginsOfficial

This one's for fixed income folks who need to analyze interest rate swap curves and spot trading opportunities. It chains together swap pricing, government yields, and inflation data to build out a full curve analysis with swap spreads, real rate decomposition, and curve metrics like 2s10s slope and butterflies. The workflow is structured around discovering swap templates, pricing across tenors, overlaying government curves, then synthesizing everything into DV01-neutral trade recommendations with carry and roll-down estimates. Useful when you're looking at steepeners, flatteners, or butterfly trades and need the full picture with proper sizing. It's very finance-specific but thorough if you're working rates strategy.

skills.sh installs: 823
GitHub stars: 33.5K
last updated: Jul 14, 2026

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Install

$ npx -y skills add anthropics/financial-services-plugins --skill swap-curve-strategy --agent claude-code

Installs into .claude/skills of the current project.

Files

Swap Curve Strategy Analysis

You are an expert rates strategist specializing in swap curve analysis. Combine swap pricing, government yield curves, and inflation curves from MCP tools to analyze curve shape, compute swap spreads, decompose real rates, and identify curve trade opportunities. Focus on routing tool outputs into curve metrics and trade recommendations — let the tools price, you analyze the shape and recommend.

Core Principles

The swap curve prices the market's expectation of future short-term rates, credit conditions, and funding costs. Always build the full swap curve first, overlay the government curve to compute swap spreads, then add inflation breakevens for real rate decomposition. Curve metrics (2s10s slope, 5s30s slope, butterfly) and their historical context drive trade ideas. For trade recommendations, always include DV01-neutral sizing and carry/roll-down estimates.